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Executive Summary High-frequency trading (HFT) has recently drawn massive public attention fuelled by the U.S. May 6, 2010 flash crash and the tremendous increases in trading volumes of HFT strategies. Indisputably, HFT is an important factor in markets that are driven by sophisticated technology on all layers of the trading value chain. However,… (More)

In Europe, fragmentation of execution venues has been triggered by increasing competition among markets and a new regulatory environment set up by MiFID. Against this background, IT-based sophisticated order routing systems (Smart Order Routing systems) promise to assure efficiency despite fragmented markets. This raises the question on the relevance and… (More)

For the execution of large equity orders, institutional investors often use the Volume Weighted Average Price (VWAP) as a benchmark to measure execution quality. To achieve this, they have the possibility to either cross their orders in a non-intermediated electronic system or to submit a VWAP agency order to a broker that executes the orders manually.… (More)

With the Markets in Financial Instruments Directive in effect since November 2007, new trading venues have emerged in European equities trading, among them Chi-X. This paper analyzes the impact of this new market entrant on the home market as well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that… (More)

Smart Order Routing technology promises to improve the efficiency of the securities trading value chain by selecting most favourable execution prices among fragmented markets. To measure the extent of sub-optimal order executions in Europe we develop a simulation framework which includes explicit costs associated with switching to a different market. By… (More)

With the Markets in Financial Instruments Directive in effect since November 2007, new trading venues have emerged in European equities trading, among them Chi-X. This paper analyzes the impact of this new market entrant on the home market as well as on consolidated liquidity of French blue chip equities, newly tradable on Chi-X. Our findings suggest that… (More)